If you want to try this out for yourself you'll need to choose a medicine ball. There are two main types, bouncing and non- bouncing. Bouncing balls are good for doing throws against a wall or pavement, but most people prefer the non-bouncing type.
Non-bouncing balls have the advantage in that they are easier to catch, and they don't roll away when they land - this is especially useful where space is limited or you are training around a lot of other people. In addition, wall bounces become a more explosive exercise because you have to throw the ball harder to get the same rebound.
Unless you are into retro, rubber balls are better than leather - they retain their shape when hurled against a wall, have non-slip coatings, and have no seams to tear.
Ball weights vary from 4 to 30 lbs. For women or teenagers, a 6 lb ball would be a good choice for a first ball, for men a 10 lb ball would be a good first purchase.
As for exercises, there are various books available detailing different exercises, or else a search online will yield plenty of websites describing exercises for all different sports. Why not give it a go?
